English, Article, Journal or magazine article edition: The Expectation Theory: Tests on French, German, and American Euro-Rates. Jondeau, E.; Ricart, R.

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Bookmark: http://trove.nla.gov.au/version/147991
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Expectation Theory: Tests on French, German, and American Euro-Rates.
Author
  • Jondeau, E.
  • Ricart, R.
Physical Description
  • preprint
Notes
  • This paper deals with tests of the expectations hypothesis of the term structure on French, German, UK and US short-term interest rates. Three tests are examined: the first is based on forward rates and the other two are based on the interest rates spread. First, we show that the puzzle highlighted by Campbell and Shiller (1991) for US data does not hold in the cases of French and UK short-term rates. Second, we propose tests for the expectations hypothesis based on error-correction specifications. These tests are shown to be much more favorable for the theory and the initial puzzle disappears.
  • Term structure of interest rates ; Expectations hypothesis ; Error-correction model.
  • RePEc:bfr:banfra:35
Language
  • English
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